Stochastic Analysis and Related Topics: In Honour of Ali Süleyman Üstünel, Paris, June 2010

ISBN-13: 9783642448034 / Angielski / Miękka / 2014 / 216 str.

Laurent Decreusefond; Jamal Najim

Opis

Since the early eighties, Ali Suleyman Ustunelhas beenone of the main contributors to the field of Malliavin calculus. In a workshop held in Paris, June 2010 several prominent researchers gave exciting talks in honor of his 60^th birthday. The present volume includes scientific contributions from this workshop.
Probability theory is first and foremost aimed at solving real-life problems containing randomness. Markov processes are one of the key tools for modeling that plays a vital part concerning such problems. Contributions on inventory control, mutation-selection in genetics and public-private partnerships illustrate several applications in this volume. Stochastic differential equations, be they partial or ordinary, also play a key role in stochastic modeling. Two of the contributions analyze examples that share a focus on probabilistic tools, namely stochastic analysis and stochastic calculus. Three other papers are devoted more to the theoretical development of these aspects. The volume addresses graduate students and researchers interested in stochastic analysis and its applications."

Spis treści

1.Boubacar Bah, Etienne Pardoux and Ahmadou Bamba Sow: A look–down model with selection.- 2.Alain Bensoussan: Control of Inventories with Markov Demand.- 3.Zdzisław Brzezniak and Annie Millet: On the splitting method for some complex-valued quasilinear evolution equations.- 4. Caroline Hillairet and Monique Pontier: A Modelisation of Public Private Parternships with failure time.- 5.Joseph Najnudel, Daniel Stroock and Marc Yor: On a flow of transformations of a Wiener space.- 6.Nicolas Privault: Measure invariance on the Lie-Wiener path space.- 7.Denis Talay: Derivatives of Solutions of Semilinear Parabolic PDEs and Variational Inequalities with Neumann Boundary Conditions.- 8.Samy Tindel and Iván Torrecilla: Some differential systems driven by a fBm with Hurst parameter greater than ¼.- 9.Ali Suleyman Üstünel: Transportation cost inequalities for diffusions under uniform distance.- Glossary. ​

Blurb

Since the early eighties, Ali Süleyman Üstünel has been one of the main contributors to the field of Malliavin calculus. In a workshop held in Paris, June 2010 several prominent researchers gave exciting talks in honor of his 60^th birthday. The present volume includes scientific contributions from this workshop.
Probability theory is first and foremost aimed at solving real-life problems containing randomness. Markov processes are one of the key tools for modeling that plays a vital part concerning such problems. Contributions on inventory control, mutation-selection in genetics and public-private partnerships illustrate several applications in this volume. Stochastic differential equations, be they partial or ordinary, also play a key role in stochastic modeling. Two of the contributions analyze examples that share a focus on probabilistic tools, namely stochastic analysis and stochastic calculus. Three other papers are devoted more to the theoretical development of these aspects. The volume addresses graduate students and researchers interested in stochastic analysis and its applications.